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FINRA-ICE Data Services Structured Trading Activity Reports

Structured Trading Activity Report TBA Pass-Thru Agency CMO Non-Agency CMO/ABS/CDO Daily CMBS Weekly CMBS
Pricing Table: Agency Pass-Thru (Specified) - Single Family 15Y
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 92.0 95.2 98.4 99.2 100.6 * *
Weighted Avg. Price 90.1 96.6 98.6 99.5 100.6 * *
Avg. Price Bottom 5 Trades 87.8 91.6 97.6 98.9 100.3 * *
2nd Quartile Price 90.6 95.2 98.5 98.7 100.4 * *
3rd Quartile Price 92.4 95.2 98.6 99.4 100.4 * *
4th Quartile Price 93.4 96.4 98.6 99.5 101.9 * *
Avg. Price Top 5 Trades 95.0 97.2 98.6 99.5 100.7 * *
Standard Deviation 2.0 1.8 0.4 0.4 0.7 * *
     VOLUME OF TRADES (000'S) 18,157.6 5,761.7 87,748.3 32,484.3 5,199.0 * *
     NUMBER OF TRADES 82 110 56 12 6 * *
FNMA
AVERAGE PRICE 86.1 96.2 95.0 * * 0.0 0.0
Weighted Avg. Price 90.7 97.2 97.8 * * 0.0 0.0
Avg. Price Bottom 5 Trades 81.1 95.7 94.4 * * 0.0 0.0
2nd Quartile Price 81.1 95.4 96.2 * * 0.0 0.0
3rd Quartile Price 84.8 97.2 97.6 * * 0.0 0.0
4th Quartile Price 93.9 97.5 97.9 * * 0.0 0.0
Avg. Price Top 5 Trades 94.2 96.6 96.7 * * 0.0 0.0
Standard Deviation 6.0 1.2 4.3 * * 0.0 0.0
     VOLUME OF TRADES (000'S) 97,134.6 48,998.7 45,599.2 * * 0.0 0.0
     NUMBER OF TRADES 16 7 6 * * 0 0
FHLMC
AVERAGE PRICE 94.4 94.9 * 0.0 0.0 * 0.0
Weighted Avg. Price 96.7 95.9 * 0.0 0.0 * 0.0
Avg. Price Bottom 5 Trades 93.1 94.5 * 0.0 0.0 * 0.0
2nd Quartile Price 94.0 93.0 * 0.0 0.0 * 0.0
3rd Quartile Price 94.9 96.4 * 0.0 0.0 * 0.0
4th Quartile Price 97.1 96.4 * 0.0 0.0 * 0.0
Avg. Price Top 5 Trades 96.0 96.4 * 0.0 0.0 * 0.0
Standard Deviation 2.2 1.8 * 0.0 0.0 * 0.0
     VOLUME OF TRADES (000'S) 770.8 6.7 * 0.0 0.0 * 0.0
     NUMBER OF TRADES 11 18 * 0 0 * 0
GNMA
AVERAGE PRICE * 0.0 0.0 * * 0.0 109.3
Weighted Avg. Price * 0.0 0.0 * * 0.0 110.1
Avg. Price Bottom 5 Trades * 0.0 0.0 * * 0.0 109.3
2nd Quartile Price * 0.0 0.0 * * 0.0 *
3rd Quartile Price * 0.0 0.0 * * 0.0 *
4th Quartile Price * 0.0 0.0 * * 0.0 *
Avg. Price Top 5 Trades * 0.0 0.0 * * 0.0 109.3
Standard Deviation * 0.0 0.0 * * 0.0 2.1
     VOLUME OF TRADES (000'S) * 0.0 0.0 * * 0.0 350.5
     NUMBER OF TRADES * 0 0 * * 0 5
Pricing Table: Agency Pass-Thru (Specified) - Single Family 30Y
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 87.1 92.0 95.1 96.8 98.1 100.3 97.4
Weighted Avg. Price 87.0 92.7 96.2 97.8 99.6 101.0 102.6
Avg. Price Bottom 5 Trades 69.8 81.1 89.3 79.5 81.2 94.6 74.6
2nd Quartile Price 85.9 92.2 95.1 97.3 98.5 100.3 99.3
3rd Quartile Price 87.1 92.4 95.3 97.4 99.4 100.6 102.0
4th Quartile Price 89.3 92.8 95.7 98.6 100.0 101.2 103.1
Avg. Price Top 5 Trades 93.3 94.9 97.5 100.0 101.8 103.1 104.5
Standard Deviation 3.0 2.0 1.4 4.3 4.5 2.2 10.9
     VOLUME OF TRADES (000'S) 1,841,217.7 705,739.3 102,144.8 650,603.7 606,353.9 384,860.5 310,374.3
     NUMBER OF TRADES 898 434 338 268 159 172 89
FNMA
AVERAGE PRICE 85.9 * * * * 0.0 *
Weighted Avg. Price 83.8 * * * * 0.0 *
Avg. Price Bottom 5 Trades 84.5 * * * * 0.0 *
2nd Quartile Price 84.2 * * * * 0.0 *
3rd Quartile Price 88.0 * * * * 0.0 *
4th Quartile Price 90.8 * * * * 0.0 *
Avg. Price Top 5 Trades 87.0 * * * * 0.0 *
Standard Deviation 3.0 * * * * 0.0 *
     VOLUME OF TRADES (000'S) 649,315.7 * * * * 0.0 *
     NUMBER OF TRADES 7 * * * * 0 *
FHLMC
AVERAGE PRICE 88.7 90.2 94.3 97.8 87.8 98.3 89.2
Weighted Avg. Price 91.3 94.6 96.9 97.5 101.0 101.7 101.6
Avg. Price Bottom 5 Trades 83.9 84.3 87.9 94.8 82.6 98.3 82.4
2nd Quartile Price 89.2 88.4 95.3 97.4 95.0 * 70.0
3rd Quartile Price 89.3 93.0 95.3 98.6 96.0 * 99.4
4th Quartile Price 89.3 93.6 95.3 98.6 101.0 * 101.5
Avg. Price Top 5 Trades 91.6 94.5 97.3 99.5 97.8 98.3 101.7
Standard Deviation 2.9 5.3 3.3 2.0 26.1 4.7 14.9
     VOLUME OF TRADES (000'S) 4,939.8 4,242.8 2,790.9 11,053.1 111.9 6.1 1,688.5
     NUMBER OF TRADES 53 25 87 29 14 6 17
GNMA
AVERAGE PRICE 89.9 90.8 96.8 96.8 97.0 98.3 102.1
Weighted Avg. Price 88.3 93.4 97.2 98.2 99.9 101.0 103.2
Avg. Price Bottom 5 Trades 83.0 85.1 92.4 90.4 85.2 74.5 75.1
2nd Quartile Price 87.9 87.9 97.0 96.7 95.8 99.0 103.1
3rd Quartile Price 90.9 93.4 97.1 98.2 99.1 101.8 103.1
4th Quartile Price 91.4 93.8 97.4 99.4 100.4 103.1 103.1
Avg. Price Top 5 Trades 92.2 94.4 100.0 99.9 101.7 106.0 113.9
Standard Deviation 2.9 4.3 1.8 4.2 7.2 14.0 5.5
     VOLUME OF TRADES (000'S) 98,964.8 17,115.4 336,695.8 271,803.5 50,215.5 342,003.8 262,111.2
     NUMBER OF TRADES 80 28 91 35 51 104 684
Pricing Table: Agency Pass-Thru (Specified) - Adjustable/Hybrid
METRIC INITIAL FIXED RATE PERIOD
ARM/SEASONED 3/1 5/1 7/1 10/1
FNMA
AVERAGE PRICE * 0.0 * 0.0 *
Weighted Avg. Price * 0.0 * 0.0 *
Avg. Price Bottom 5 Trades * 0.0 * 0.0 *
2nd Quartile Price * 0.0 * 0.0 *
3rd Quartile Price * 0.0 * 0.0 *
4th Quartile Price * 0.0 * 0.0 *
Avg. Price Top 5 Trades * 0.0 * 0.0 *
Standard Deviation * 0.0 * 0.0 *
     VOLUME OF TRADES (000'S) * 0.0 * 0.0 *
     NUMBER OF TRADES * 0 * 0 *
FHLMC
AVERAGE PRICE 0.0 0.0 0.0 0.0 *
Weighted Avg. Price 0.0 0.0 0.0 0.0 *
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 *
2nd Quartile Price 0.0 0.0 0.0 0.0 *
3rd Quartile Price 0.0 0.0 0.0 0.0 *
4th Quartile Price 0.0 0.0 0.0 0.0 *
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 *
Standard Deviation 0.0 0.0 0.0 0.0 *
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 *
     NUMBER OF TRADES 0 0 0 0 *
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0
* Indicates trade count is less than 5

The pricing tables for Agency TBA and Agency Specified Pass-thrus do not contain certain transaction volume related items after December 14th, 2011.

Data updated with current day's trades at approximately 8PM New York time

Effective June 1st, 2015 ABS Listor Fixed Offering Price and Takedown Transactions (as defined in FINRA Rule 6710), as well as CMO transactions in securities newly added to the system on the report day will be excluded from inclusion in the FINRA-ICE Data daily Securitized Product Report and Pricing Tables. Previously created reports will not be adjusted for the change.

Should you have any questions, please call TRACE Data Services at 888-507-3665 or email tracedataservices@finra.org.

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